Quantitative Analyst

2 weeks ago

Sandton, South Africa Discovery Ltd. Full time

Business Unit:
Discovery Bank
Function:Banking
Date:12-May-2023
About Discovery
Discovery's core purpose is to make people healthier and to enhance and protect their lives.

We seek out and invest in exceptional individuals who understand and support our core purpose, and whose own values align with those of Discovery.

Our fast-paced and dynamic environment enables smart, self-driven people to be their best.

As global thought leaders, Discovery is passionate about innovating in order to not only achieve financial success, but to ignite positive and meaningful change within our society.


About Discovery Bank
We're the world's first behavioural bank, designed with our clients in mind.

Our main goal is to improve the financial health of our clients by helping change how they work with their money.

Through Vitality Money, our clients will learn more about what it means to be financially healthy and get rewarded for managing their money well.

If you are a problem solver, always questioning the way things are done, passionate about doing what is right, have the ability to change direction quickly when needed, Discovery Bank, has a job where you can be yourself and your best in an environment that is safe and nurturing.


Job Purpose


The Balance Sheet Management team is responsible for the development, oversight and embedding of the Balance Sheet Strategy for Discovery Bank.

The Quantitative Analyst plays an important role within the team to develop the optimisation and risk management frameworks and the operational analytics and models to support executive decisions.


Areas of responsibility may include but not limited to:

Working in the Balance Sheet Management team to ensure the development, roll out and operationalization of the Bank's Risk Management strategy, policy and frameworks and their continuous enhancement and lead all aspects of the second line of defence function for Liquidity and Funding Risk.

Must have a detailed and deep understanding of the risks and methodologies used to manage the ALM risks in banks:

  • Liquidity management and the funding of a bank
  • Technical knowledge of liquidity concepts and metrics
  • Liquidity bucketing and repricing gap analysis and reporting key risk metrics including LCR and NSFR
  • Liquidity and Funding Risk Appetite setting and monitoring.
  • Behavioural modelling of customer behaviour under business as usual and stressed liquidity conditions including the determination of a liquidity stickiness scale.
  • Survival Horizon and Liquidity Buffer quantifications.
  • Calculating the impact on NII and EVE under various interest rate scenarios (parallel, nonparallel, basis) and other rate shocks to the balance sheet.
  • Perform all analytics for ALM risk. o The BA300 and BA330 regulatory returns. o Balance sheet instruments across assets, liabilities and capital.
  • Design and produce Management Information in respect of ALM and BSM, as may be required by the Prudential Authority, Bank Management and the Bank's ALCO.

Experience in the following area is highly advantageous:

  • Interest Rate Risk in the banking book and traded market risk management: Measuring and monitoring interest rate risk to parallel and non-parallel shifts in the yield curve as well as basis risk between various rates (in both normal and stressed scenarios)
  • Dynamic balance sheet modelling of assets and liabilities. o Liquidity and Contingency Funding plans, ILAAP, ICAAP and Recovery Planning.
  • Funds Transfer Pricing
  • Stress testing and Scenario analysis
  • Bank enterprisewide risk and capital quantification.

Education and Experience

  • BSc (Hons) in Financial Maths/ Applied Maths / Statistics/ Actuarial Science/ Risk Management
  • At least 35 years of experience in relevant field (e.g. asset liability management, behavioral liquidity measurement and modelling).
  • Experience with ALM systems, analytics and modelling.
  • Retail banking experience.
  • Strong track record of professional performance.
  • Skilled in Microsoft products, particularly PowerPoint, Word, Excel and Access and programming capabilities would be highly advantageous in SAS / SQL / R / Python / VBA
  • Analytical and quantitative skills
  • Ability to structure, manipulate and interpret large volumes of data
  • Ability to work with a wide range of stakeholders including treasury execution teams, Internal audit, Prudential Authority and client facing functions.

Personal Attributes and Skills

  • Resourceful and tenacious
  • Focused on driving results
  • High levels of initiative and selfmotivation
  • Detailoriented with the ability to shift between strategic and tactical approaches
  • Organised and process oriented; ability to multitask and manage time effectively
  • Ability to convey complex data in a concise understandable manner and distil the key messages
  • Strong problemsolving skills
  • Ability to work effectively across varying levels of Management and multidisciplinary teams
  • Good and clear written

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